Volatility Transmission from Mature Global Stock Markets to Middle East and North African Stock Markets

Akash Dania, John E. Spillan

Abstract

The objective of this paper is to model the dynamics of volatility transmission from mature global stock markets of France, Germany, UK and the US to MENA (Middle East and North African) markets of Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Tunisia, and the United Arab Emirates. GARCH, TGARCH models of returns are estimated to determine evidence of volatility spillover from global mature markets to emerging or less mature markets of MENA region. We find evidence of different level of volatility spillover and leverage effect. This varying response to global stock market shocks reveals that MENA stock markets are not fully integrated with global economy.

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